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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jan 31, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 21 22 19 18 31 34 31 28 28 30
Exceeded High   18 17 18 15 17 28 30 29 25 24 25
Scenario Percentage   69% 81% 82% 79% 94% 90% 88% 94% 89% 86% 83%
Avg Max Increase   8.13% 7.98% 6.73% 8.39% 10.20% 7.66% 8.73% 9.34% 7.92% 7.55% 6.83%
Max Increase   18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 25.56% 25.49% 18.41% 15.74% 18.29%
Avg Days To Max Increase   22 14 15 19 21 18 19 16 17 19 21
Avg Max Decline   -2.57% -2.05% -2.40% -2.36% -2.71% -2.19% -2.22% -1.87% -2.20% -1.93% -1.85%
Max Decline   -6.65% -9.97% -9.31% -8.42% -8.89% -9.74% -6.04% -5.99% -7.66% -5.48% -4.33%
Avg Days to Max Decline   12 7 7 10 9 12 12 7 9 10 7
2020 Contract Condition     Yes Yes   Yes Yes Yes Yes      
Action     Yes No   Yes Yes Yes Yes      
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 24 23 26 26 14 10 14 17 17 15
Penetrated Low   15 15 20 15 15 7 8 6 12 12 7
Scenario Percentage   83% 63% 87% 58% 58% 50% 80% 43% 71% 71% 47%
Avg Max Decline   6.20% 10.63% 9.99% 13.07% 12.58% 9.92% 9.94% 13.23% 8.47% 6.94% 5.45%
Max Decline   10.68% 24.93% 25.62% 36.57% 36.98% 25.14% 20.96% 18.76% 28.05% 14.61% 9.90%
Avg Days To Max Decline   18 18 18 17 16 14 17 21 11 12 17
Avg Max Increase   -3.69% -2.75% -1.71% -2.34% -2.99% -4.05% -2.97% -2.05% -2.80% -1.75% -1.31%
Max Increase   -11.88% -7.61% -4.43% -5.56% -6.67% -8.38% -5.92% -5.02% -9.17% -4.17% -5.22%
Avg Days to Max Increase   10 8 7 11 8 16 8 5 5 5 3
2020 Contract Condition   Yes     Yes         Yes    
Action   Yes     No         Not Yet    
High 11148.00 10986.00 10493.00 10876.00 10711.00 10857.00 10959.00 11227.00 10978.00 11359.00    
Low 10433.00 9722.00 9715.00 10260.00 9676.00 9910.00 9708.00 10523.00 10456.00 10534.00    
Close/Last 10847.00 9738.00 10462.00 10702.00 10127.00 10364.00 10499.00 10858.00 10901.00 10567.00    

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